Body filler of any kind needs to be fully dry for it to be fully adhered to whatever substrate it is on. This means that if you are sanding it while it is ‘green’ it’s possible to loosen the edges of it. Most of the time, this isn’t a big deal; filler can be sanded as soon as possible without any issues.
Where to be careful? Edges. If you are using body filler or ‘duraglass’ on an edge, or body line, or next to a door opening, etc...be careful! It can be easy to break it loose from the metal and not even realize it. In these important areas, it’s most often best to let it fully dry before sanding it.
Take a look at the image below, the filler on the edge wasn’t sanded until it was dried. And yes, most of it was sanded back, it’s just easier to start with a little extra.